Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0045 |
| Annualized Std Dev | 0.3333 |
| Annualized Sharpe (Rf=0%) | 0.0135 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2566 |
| Quartile 1 | -0.0056 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0064 |
| Maximum | 0.7447 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0004 |
| Stdev | 0.0210 |
| Skewness | 8.7802 |
| Kurtosis | 321.8835 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0131 |
| Gain Deviation | 0.0211 |
| Loss Deviation | 0.0159 |
| Downside Deviation (MAR=210%) | 0.0171 |
| Downside Deviation (Rf=0%) | 0.0130 |
| Downside Deviation (0%) | 0.0130 |
| Maximum Drawdown | 0.8575 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0426 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-26 | 2008-10-10 | 2020-12-14 | -0.8575 | 4210 | 1145 | 3065 |
| 1999-01-08 | 2000-11-22 | 2002-02-20 | -0.2669 | 782 | 475 | 307 |
| 2020-12-24 | 2021-02-25 | NA | -0.1720 | 59 | 42 | NA |
| 2002-09-05 | 2002-10-22 | 2003-01-13 | -0.1491 | 90 | 34 | 56 |
| 2002-02-26 | 2002-03-12 | 2002-07-19 | -0.1147 | 101 | 11 | 90 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.4 | 0 | 0 | 1.8 | -1.8 | 1.8 | 0.9 | -1.8 | 0.9 | 1.5 | 0 | 3.2 | 7 |
| 2000 | -0.5 | 1 | 0.5 | 0.5 | 1.6 | -0.5 | -0.5 | 1.5 | -0.5 | 0 | 0.5 | -1 | 2.5 |
| 2001 | 0.8 | 0.7 | 1.9 | 0.4 | 1.9 | 0.8 | -1.6 | -1.8 | 0 | 0.5 | -0.1 | -0.5 | 3 |
| 2002 | 2.3 | 2.3 | -0.3 | 1.4 | 0.1 | 0.6 | -3.1 | 0.9 | 1.1 | 0.4 | 0 | -0.3 | 5.4 |
| 2003 | 0.1 | -0.7 | 1.4 | -2.8 | -0.5 | -0.3 | -1 | 0.1 | -1 | 1 | 0.8 | 0.5 | -2.3 |
| 2004 | -0.2 | -0.3 | 0.4 | 0.4 | -0.3 | 0.7 | 0.2 | 0.1 | -0.6 | -0.3 | -0.3 | 0.1 | -0.2 |
| 2005 | -0.1 | -0.1 | 1.8 | 0.3 | -0.5 | 0.9 | 0.6 | -0.6 | -0.5 | 1.5 | -0.7 | 0.4 | 3.1 |
| 2006 | -0.1 | 0.8 | 0.3 | 0 | 0.8 | -0.6 | 0.5 | 0.8 | 0.1 | 0.3 | -1.3 | -0.5 | 1.2 |
| 2007 | 0.6 | -0.4 | -0.5 | -0.5 | 1.6 | -0.9 | -1.9 | -0.9 | 0.4 | -1.2 | 2.5 | -1.3 | -2.7 |
| 2008 | 0.4 | 0.2 | 1.8 | 2.1 | -0.3 | -1.7 | -1.6 | 2.4 | -8.2 | -5.3 | -5.8 | 0.3 | -15.2 |
| 2009 | -0.7 | -3 | 1.3 | 3 | 4.1 | 0.6 | -1 | 0.3 | 1.2 | -2.5 | 3.3 | -0.2 | 6.2 |
| 2010 | 1.5 | 2.3 | 2.2 | 0.3 | 0.7 | -1.8 | 1.9 | 0.6 | -0.5 | 1.4 | -0.2 | 0.9 | 9.7 |
| 2011 | 1 | 0.2 | 1.1 | 0.2 | 0.4 | 0.7 | 1.7 | 0 | 0.4 | -1.3 | 0.4 | 1.8 | 6.7 |
| 2012 | 0.1 | -0.6 | 1.7 | -0.9 | -1.1 | -1.9 | 0.8 | 0.7 | -0.8 | 0.2 | -0.3 | 1.8 | -0.5 |
| 2013 | 0 | 0.1 | 0.5 | 0.3 | -3.5 | -0.2 | -0.4 | 0 | 1.4 | 0.9 | 0 | -0.2 | -1.2 |
| 2014 | 0.9 | -0.2 | 0.1 | -0.4 | -0.3 | 0.6 | -1.6 | 0.1 | 0.6 | 1.1 | -0.7 | -3.3 | -3.2 |
| 2015 | 0.3 | 0.3 | 0.9 | 0.5 | -0.1 | 0.3 | -0.4 | 0.9 | 0.2 | 0.3 | 0.4 | -0.2 | 3.4 |
| 2016 | 1.1 | 1 | 0.8 | -0.5 | 0 | -0.2 | 0.3 | 0.4 | 0.1 | -3 | -0.3 | 1 | 0.6 |
| 2017 | 0 | -0.3 | 0.8 | 1 | 0.3 | 0.4 | 1.1 | 0.4 | 0.7 | 0.5 | -0.4 | -0.3 | 4.2 |
| 2018 | 1.2 | -0.3 | 0.5 | 1.1 | 0 | 1 | 0.1 | 0.2 | 0.4 | 0.9 | 0.6 | 0.7 | 6.6 |
| 2019 | -0.8 | 0.8 | -0.6 | 0.4 | -0.3 | 0.4 | -0.3 | 0.3 | 1 | -0.9 | 0.6 | 1.3 | 2 |
| 2020 | -2.7 | -3.4 | -6 | -1.3 | 3.3 | -1.5 | 1.9 | 1.1 | -2.5 | -0.3 | -1 | 1.1 | -11.1 |
| 2021 | 0.2 | 2.2 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 15.7 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 15.7 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 15.5 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 15.7 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 15.4 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 15 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
